Short Interest, Institutional Ownership, and Stock Returns

摘要: Stocks are short sale constrained when there is a strong demand to sell and limited supply of shares borrow. Using data on both interest, proxy for demand, institutional ownership, supply, we find that stocks underperform during 1988-2002 by significant 215 basis points per month an EW basis, although only insignificant 39 VW basis. For the overwhelming majority stocks, interest ownership levels make selling constraints unlikely.